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Elimination of arbitrage states in asymetric information models

Author

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  • Bernard Cornet

    (KU - University of Kansas [Lawrence], CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Lionel De Boisdeffre

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

In a financial economy with asymmetric information and incomplete markets, we study how agents, having no model of how equilibrium prices are determined, may still refine their information by eliminating sequentially "arbitrage state(s)", namely, the state(s) which would grant the agent an arbitrage, if realizable.

Suggested Citation

  • Bernard Cornet & Lionel De Boisdeffre, 2009. "Elimination of arbitrage states in asymetric information models," Post-Print hal-01871267, HAL.
    • Handle: RePEc:hal:journl:hal-01871267
    DOI: 10.1007/s00199-007-0205-z
    Note: View the original document on HAL open archive server: https://univ-pau.hal.science/hal-01871267
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    Keywords

    Information revealed by prices; Asymmetric information; Incomplete markets; Arbitrage;
    All these keywords.

    JEL classification:

    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets

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